Integrability of solutions to mixed stochastic differential equations
classification
🧮 math.PR
keywords
conditionsdifferentialequationsintegrabilitymixedmomentssolutionstochastic
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We prove that the standard conditions that provide unique solvability of a mixed stochastic differential equations also guarantee that its solution possesses finite moments. We also present conditions supplying existence of exponential moments. For a special equation whose coefficients do not satisfy the linear growth condition, we find conditions for integrability of its solution.
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